Import tool into java application.

I'm creating a java web service & would like to know if there is a way to import a .exe file into the application so that it can be used in windows with having to be on the customers machine.

I'm sorry, you're firmly in WTF territory here.
That's a command to load an application via Java Web Start. It loads it from the server at 192.168.1.1. Running a Web Start application, once it's loaded onto the client, does not involve a browser. But getting it installed on the client does involve a browser.
And you can configure a Web Start application to create a shortcut. You don't need to do it yourself, least of all from the application to which the shortcut should refer.
I also don't understand the reference to "web services" and "turning the application into a web application", but probably your use of those phrases isn't related to their actual standard meanings.
My advice: use Java Web Start in the way it was meant to be used. It works just fine that way. Don't try to help it out if you don't know what you are doing. Which you definitely don't, if I am understanding your idea correctly. Which I might not be.

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